Making Sense of Asset Prices: A Guide to Required Yield Theory - Part I: Valuing the Stock Market

2011 ◽  
Author(s):  
Christophe Faugère
Keyword(s):  
Stock Market ◽  
Asset Prices ◽  
Making Sense ◽  
Yield Theory

scholarly journals Estimation of Parameters and Verification of Statistical Hypotheses for Gaussian Models of Stock Price

2016 ◽  
Vol 55 (1) ◽  
pp. 91-101
Author(s):  
Dmytro Marushkevych ◽  
Yevheniia Munchak
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Asset Prices ◽  
Estimation Of Parameters ◽  
Gaussian Models ◽  
Hurst Coefficient ◽  
Statistical Hypotheses

We construct models of asset prices on the Ukrainian stock market and analyse their applicability by checkingappropriate statistical hypotheses using actual observed data. We also analyse the presence of jumps in the dynamics ofdifferent assets and estimate the Hurst coefficient for the logarithm of the price of the asset by two different methods.

Macroeconomic Tail Risks and Asset Prices

2019 ◽  
Vol 33 (8) ◽  
pp. 3541-3582 ◽  
Author(s):  
David Schreindorfer
Keyword(s):  
Stock Market ◽  
Asset Prices ◽  
Equity Premium ◽  
Return Predictability ◽  
Risk Premiums ◽  
Asset Pricing Model ◽  
Oxford University ◽  
Excess Volatility ◽  
Equity Index ◽  
Published Paper

Abstract I document that dividend growth and returns on the aggregate U.S. stock market are more correlated with consumption growth in bad economic times. In a consumption-based asset pricing model with a generalized disappointment-averse investor and small, IID consumption shocks, this feature results in a realistic equity premium despite low risk aversion. The model is consistent with the main facts about stock market risk premiums inferred from equity index options, remains tightly parameterized, and allows for analytical solutions for asset prices. An extension with non-IID dynamics accounts for excess volatility and return predictability, while preserving the model’s consistency with option moments. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Negative bond yields will fuel global equity rally

2016 ◽  
Keyword(s):  
Stock Market ◽  
Sovereign Debt ◽  
Asset Prices ◽  
Central Banks ◽  
Oil Price ◽  
Bond Yields ◽  
Fiscal Stimulus ◽  
Government Bonds ◽  
Content Type ◽  
Risk Appetite

Significance The gains in global equities stem from the expanding universe of negative-yielding government bonds, which now account for nearly a third of the stock of global sovereign debt. This is pushing yield-hungry investors into riskier assets, despite concerns about the sustainability of a stock market rally with weak fundamental underpinnings and central banks' ultra-loose policies driving asset prices. Impacts Sterling will remain under pressure because of the BoE's aggressive monetary easing, both conventional and unconventional. The recent oil price rebound will support equity valuations and risk appetite. Fiscal stimulus will benefit stocks in the construction and defence sectors.

Sign in / Sign up

Export Citation Format

Share Document